go to your start menu and search for steam when you see the result that would open Steam right click on it and select properties. On the dialog box that opens up select "go to file location" or "open file location" in the folder that pops up there will be a bunch of stuff and folders.

Scroll until you find a folder called "steamapps", open this and then select the colder called "common" you should see a list of your steam games. Open the "Desktop Dungeons" folder. In this there should be a folder called "soundtrack" with all the music in it.

if you are using Lion then open your finder and press the alt option key. Library should pop up. The path from there is(library>Application support>Steam>steamapps>common>desktop dungeons>soundtrackyou can also access your library if you open the terminal and type "chflags nohidden ~/Library"